$TSLA Skyrocketed Ahead of Stock Split

Price spikes preceded by the change of volatility spread

September 15, 2020

TSLA skyrocketed ahead of stock split – How did the options market show the trading signals?
Through mid-June to the end of August, the two spikes in the acceleration of change of volatility spread implied the two rallies of the stock price one week ahead of time, while the downward spike predicted the post-split drop.
This experiment of TSLA shows the predictive power of the options market in stock performance. The changing speed of implied volatility spread appears to be signals for future stock performance. We define implied volatility spread as the implied volatility of a call subtracted by the implied volatility of a put, within the call-put pair they share the same expiration, strike, and underlying. And far out-of-money options (20 delta) are excluded.

How was this research created?

Data Sources

SpiderRock Options Live Surface Term – End of Day
SpiderRock Options Prints (Trades)
Historical Market Data available through CloudQuant Data Liberator

Research Tools

CloudQuant AI – a hosted, secure JupyterLab environment

Data Used to Create the Graphs

Price Data

Date	Open	High	Low	Close	Adj Close	Volume
4/1/2020	100.8	102.79	95.02	96.312	96.312	66,766,000
4/2/2020	96.206	98.852	89.28	90.894	90.894	99,292,000
4/3/2020	101.9	103.098	93.678	96.002	96.002	112,810,500
4/6/2020	102.24	104.2	99.592	103.248	103.248	74,509,000
4/7/2020	109	113	106.468	109.09	109.09	89,599,000
4/8/2020	110.84	111.442	106.666	109.768	109.768	63,280,000
4/9/2020	112.418	115.036	111.422	114.6	114.6	68,250,000
4/13/2020	118.032	130.4	116.106	130.19	130.19	112,377,000
4/14/2020	139.794	148.376	138.486	141.978	141.978	152,882,500
4/15/2020	148.4	150.626	142	145.966	145.966	117,885,000
4/16/2020	143.388	151.89	141.344	149.042	149.042	103,289,500
4/17/2020	154.456	154.99	149.532	150.778	150.778	65,641,000
4/20/2020	146.54	153.114	142.442	149.272	149.272	73,733,000
4/21/2020	146.024	150.666	134.758	137.344	137.344	101,045,500
4/22/2020	140.796	146.8	137.742	146.422	146.422	71,124,000
4/23/2020	145.52	146.8	140.626	141.126	141.126	66,183,500
4/24/2020	142.162	146.146	139.636	145.03	145.03	66,188,000
4/27/2020	147.522	159.898	147	159.75	159.75	103,407,000
4/28/2020	159.128	161	151.338	153.824	153.824	76,110,000
4/29/2020	158.034	160.64	156.632	160.102	160.102	81,080,000
4/30/2020	171.038	173.964	152.7	156.376	156.376	142,359,500
5/1/2020	151	154.554	136.608	140.264	140.264	162,659,000
5/4/2020	140.2	152.4	139.6	152.238	152.238	96,185,500
5/5/2020	157.958	159.784	152.436	153.642	153.642	84,958,500
5/6/2020	155.3	157.96	152.222	156.516	156.516	55,616,000
5/7/2020	155.442	159.28	154.47	156.008	156.008	57,638,500
5/8/2020	158.754	164.8	157.402	163.884	163.884	80,650,500
5/11/2020	158.102	164.8	157	162.258	162.258	82,598,000
5/12/2020	165.4	168.658	161.6	161.882	161.882	79,534,500
5/13/2020	164.166	165.2	152.66	158.192	158.192	95,327,500
5/14/2020	156	160.672	152.8	160.666	160.666	68,411,000
5/15/2020	158.07	161.01	157.31	159.834	159.834	52,592,000
5/18/2020	165.556	166.944	160.776	162.726	162.726	58,490,500
5/19/2020	163.034	164.414	161.216	161.602	161.602	48,182,500
5/20/2020	164.1	165.2	162.36	163.112	163.112	36,546,500
5/21/2020	163.2	166.5	159.2	165.52	165.52	61,273,000
5/22/2020	164.434	166.356	162.4	163.376	163.376	49,937,500
5/26/2020	166.9	166.92	163.142	163.774	163.774	40,448,500
5/27/2020	164.172	165.542	157	164.046	164.046	57,747,500
5/28/2020	162.702	164.95	160.338	161.162	161.162	36,278,000
5/29/2020	161.75	167	160.842	167	167	59,062,500
6/1/2020	171.6	179.8	170.82	179.62	179.62	74,697,500
6/2/2020	178.94	181.732	174.2	176.312	176.312	67,828,000
6/3/2020	177.624	179.588	176.02	176.592	176.592	39,747,500
6/4/2020	177.976	179.15	171.688	172.876	172.876	44,438,500
6/5/2020	175.568	177.304	173.24	177.132	177.132	39,059,500
6/8/2020	183.8	190	181.832	189.984	189.984	70,873,500
6/9/2020	188.002	190.888	184.786	188.134	188.134	56,941,000
6/10/2020	198.376	205.496	196.5	205.01	205.01	92,817,000
6/11/2020	198.04	203.792	194.4	194.568	194.568	79,582,500
6/12/2020	196	197.596	182.52	187.056	187.056	83,817,000
6/15/2020	183.558	199.768	181.7	198.18	198.18	78,486,000
6/16/2020	202.37	202.576	192.478	196.426	196.426	70,255,500
6/17/2020	197.542	201	196.514	198.358	198.358	49,454,000
6/18/2020	200.6	203.84	198.894	200.792	200.792	48,759,500
6/19/2020	202.556	203.194	198.268	200.18	200.18	43,398,500
6/22/2020	199.99	201.776	198.004	198.864	198.864	31,812,000
6/23/2020	199.776	202.4	198.802	200.356	200.356	31,826,500
6/24/2020	198.822	200.176	190.628	192.17	192.17	54,798,000
6/25/2020	190.854	197.196	187.43	197.196	197.196	46,272,500
6/26/2020	198.956	199	190.974	191.948	191.948	44,274,500
6/29/2020	193.802	202	189.704	201.87	201.87	45,132,000
6/30/2020	201.3	217.538	200.746	215.962	215.962	84,592,500
7/1/2020	216.6	227.066	216.1	223.926	223.926	66,634,500
7/2/2020	244.296	245.6	237.12	241.732	241.732	86,250,500
7/6/2020	255.338	275.558	253.208	274.316	274.316	102,849,500
7/7/2020	281.002	285.9	267.342	277.972	277.972	107,448,500
7/8/2020	281	283.452	262.268	273.176	273.176	81,556,500
7/9/2020	279.398	281.712	270.256	278.856	278.856	58,588,000
7/10/2020	279.2	309.784	275.202	308.93	308.93	116,688,000
7/13/2020	331.8	358.998	294.222	299.412	299.412	194,927,000
7/14/2020	311.2	318	286.2	303.36	303.36	117,090,500
7/15/2020	308.6	310	291.4	309.202	309.202	81,839,000
7/16/2020	295.432	306.342	293.2	300.128	300.128	71,504,000
7/17/2020	302.69	307.502	298	300.168	300.168	46,650,000
7/20/2020	303.802	330	297.6	328.6	328.6	85,607,000
7/21/2020	327.986	335	311.6	313.672	313.672	80,786,500
7/22/2020	319.8	325.284	312.4	318.466	318.466	70,805,500
7/23/2020	335.79	337.8	296.154	302.614	302.614	121,642,500
7/24/2020	283.202	293	273.308	283.4	283.4	96,983,000
7/27/2020	287	309.588	282.6	307.92	307.92	80,243,500
7/28/2020	300.8	312.94	294.884	295.298	295.298	79,043,500
7/29/2020	300.2	306.962	297.4	299.822	299.822	47,134,500
7/30/2020	297.6	302.648	294.2	297.498	297.498	38,105,000
7/31/2020	303	303.41	284.196	286.152	286.152	61,235,000
8/3/2020	289.84	301.962	288.876	297	297	44,046,500
8/4/2020	299.002	305.482	292.4	297.4	297.4	42,075,000
8/5/2020	298.598	299.968	293.662	297.004	297.004	24,890,000
8/6/2020	298.166	303.462	295.452	297.916	297.916	29,961,500
8/7/2020	299.908	299.95	283.002	290.542	290.542	44,482,000
8/10/2020	289.6	291.5	277.168	283.714	283.714	37,611,500
8/11/2020	279.2	284	273	274.878	274.878	43,129,000
8/12/2020	294	317	287	310.952	310.952	109,494,000
8/13/2020	322.2	330.236	313.452	324.2	324.2	102,126,500
8/14/2020	332.998	333.76	325.328	330.142	330.142	62,888,000
8/17/2020	335.4	369.172	334.566	367.128	367.128	101,211,500
8/18/2020	379.798	384.78	369.022	377.418	377.418	82,372,500
8/19/2020	373	382.2	368.242	375.706	375.706	61,026,500
8/20/2020	372.136	404.398	371.412	400.366	400.366	103,059,000
8/21/2020	408.952	419.098	405.01	409.996	409.996	107,448,000
8/24/2020	425.256	425.8	385.504	402.84	402.84	100,318,000
8/25/2020	394.978	405.59	393.6	404.668	404.668	53,294,500
8/26/2020	412	433.2	410.726	430.634	430.634	71,197,000
8/27/2020	436.092	459.12	428.5	447.75	447.75	118,465,000
8/28/2020	459.024	463.698	437.304	442.68	442.68	100,406,000
8/31/2020	444.61	500.14	440.11	498.32	498.32	118,374,400
9/1/2020	502.14	502.49	470.51	475.05	475.05	90,119,400
9/2/2020	478.99	479.04	405.12	447.37	447.37	96,176,100
9/3/2020	407.23	431.8	402	407	407	87,596,100
9/4/2020	402.81	428	372.02	418.32	418.32	110,321,900
9/8/2020	356	368.74	329.88	330.21	330.21	115,465,700
9/9/2020	356.6	369	341.51	366.28	366.28	79,465,800
9/10/2020	386.21	398.99	360.56	371.34	371.34	84,186,800
9/11/2020	381.94	382.5	360.5265	372.1301	372.1301	55,221,900

Volatility Data

Date	TSLA VS
5/1/2020	0.001688921
5/4/2020	0.020718024
5/5/2020	0.001828114
5/6/2020	(0.002548689)
5/7/2020	0.000410605
5/8/2020	(0.009613965)
5/11/2020	(0.000113834)
5/12/2020	(0.000364262)
5/13/2020	(0.000562644)
5/14/2020	(0.000894011)
5/15/2020	(0.001308927)
5/18/2020	0.000141213
5/19/2020	0.000296224
5/20/2020	(0.000028800)
5/21/2020	(0.000086400)
5/22/2020	(0.002734944)
5/26/2020	0.000078200
5/27/2020	0.000012200
5/28/2020	0.000081400
5/29/2020	0.003699890
6/1/2020	0.000571777
6/2/2020	0.000068900
6/3/2020	0.000021300
6/4/2020	0.000470633
6/5/2020	0.000006210
6/8/2020	0.000121940
6/9/2020	0.000020000
6/10/2020	(0.000761690)
6/11/2020	0.000113738
6/12/2020	(0.000265713)
6/15/2020	(0.000682853)
6/16/2020	(0.000069300)
6/17/2020	(0.000735106)
6/18/2020	(0.000341790)
6/19/2020	(0.003259888)
6/22/2020	(0.000238943)
6/23/2020	0.000096500
6/24/2020	0.000239875
6/25/2020	(0.000855125)
6/26/2020	(0.000000131)
6/29/2020	(0.000140764)
6/30/2020	0.000012200
7/1/2020	0.000308784
7/2/2020	(0.000990164)
7/6/2020	0.000348061
7/7/2020	0.000540480
7/8/2020	(0.000123272)
7/9/2020	(0.000085300)
7/10/2020	0.000483798
7/13/2020	(0.002420339)
7/14/2020	(0.000048500)
7/15/2020	0.000148244
7/16/2020	0.000046900
7/17/2020	(0.000357375)
7/20/2020	(0.000224897)
7/21/2020	0.000594345
7/22/2020	(0.000026300)
7/23/2020	0.000386801
7/24/2020	(0.000728887)
7/27/2020	(0.000029500)
7/28/2020	0.000640976
7/29/2020	0.000493134
7/30/2020	0.000088500
7/31/2020	(0.002274937)
8/3/2020	(0.000193053)
8/4/2020	0.001028313
8/5/2020	0.000858810
8/6/2020	0.000290952
8/7/2020	0.000739205
8/10/2020	0.000534087
8/11/2020	0.000214072
8/12/2020	(0.000478853)
8/13/2020	(0.000245410)
8/14/2020	0.001067296
8/17/2020	0.000114956
8/18/2020	0.000598640
8/19/2020	0.000371496
8/20/2020	(0.000100978)
8/21/2020	0.000180882
8/24/2020	0.001574418
8/25/2020	(0.000371213)
8/26/2020	(0.000106220)
8/27/2020	0.000251802
8/28/2020	(0.002615449)
8/31/2020	(0.000484531)
9/1/2020	0.000510153
9/2/2020	0.000689419
9/3/2020	0.000875037
9/4/2020	0.000207384